Essays about: "historical simulation var"

Showing result 16 - 20 of 46 essays containing the words historical simulation var.

  1. 16. Managing Risk with Energy Commodities using Value-at-Risk and Extreme Value Theory

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Alexander Noshkov; Zafer Demirtas; [2017]
    Keywords : Energy Commodities; Value-at-Risk VaR ; Extreme Value Theory EVT ; Peaks over Threshold POT ; Volatility Weighted Historical Simulation VWHS ; GARCH; EGARCH; TGARCH; Business and Economics;

    Abstract : Today’s society requires an endless supply of energy resources to keep functioning properly. The fluctuations in the prices of energy commodities are always a concern as it affects not only investors, but regular households as well. READ MORE

  3. 17. On the use of Value-at-Risk based models for the Fixed Income market as a risk measure for Central Counterparty clearing

    University essay from KTH/Matematisk statistik

    Author : Oskar Kallur; [2016]
    Keywords : ;

    Abstract : In this thesis the use of VaR based models are investigated for the purpose of setting margin requirements for Fixed Income portfolios. VaR based models has become one of the standard ways for Central Counterparties to determine the margin requirements for different types of portfolios. READ MORE

  4. 18. Quantifying market risk : - An evaluation of VaR methodologies in the banking sector

    University essay from Umeå universitet/Nationalekonomi

    Author : Andreas Wikström; [2016]
    Keywords : ;

    Abstract : In this study some of the most commonly used methods by banks whenestimating the Value-at-risk (VaR) is evaluated. To find the best models forestimating the VaR, the performance of these methods is assessed on the basisof Kupiec’s unconditional coverage test of statistical accuracy. READ MORE

  5. 19. Development of an electricity market model based on short-term power plant recruitment in liberalized market conditions

    University essay from KTH/Energiteknik

    Author : ERIK BJÖRKLUND; [2016]
    Keywords : ;

    Abstract : Deregulated electricity markets enable power generation resources to be allocated efficiently in the short-term through competitive bidding on the power exchange, thus resulting in the lowest generation cost possible given the power plants currently available. With increasing shares of intermittent power sources and prospects of substantial changes in baseload power, as seen recently in Sweden, it is of interest to be able to predict electricity market outcomes given certain changes in the power system. READ MORE

  6. 20. An empirical study of the Value-at-Risk of the renewable energy market and the impact of the oil price

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Euan Anderson; [2015]
    Keywords : Two-sided Kupiec test; Student-t distribution; Normal distribution; Threshold GARCH TGARCH ; Oil; Generalized Autoregressive Heteroskedasticity GARCH ; Exponentially weighted moving average EWMA ; Volatility weighted historical simulation VWHS ; Basic historical simulation BHS ; rolling-window; Value-at-Risk VaR ; Renewable energy; Business and Economics;

    Abstract : Renewable energy is gaining increasing importance in the generation of power due to the finite existence of fossil fuels and concerns about climate change. As its demand grows financial interest from investors’ increases, thus it is important to find the most effective way of quantifying the risk of the renewable energy market. READ MORE